Calculation of multidimensional stable densities

DOI10.1080/03610919508813258zbMath0850.60007OpenAlexW2061862636WikidataQ57452143 ScholiaQ57452143MaRDI QIDQ4859856

John P. Nolan, Balram S. Rajput

Publication date: 15 January 1996

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919508813258

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characterization and structure theory of statistical distributions (62E10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (7)

Bayesian analysis of multivariate stable distributions using one-dimensional projections ⋮ Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates ⋮ Weak error for continuous time Markov chains related to fractional in time P(I)DEs ⋮ Multivariate stable densities as functions of one dimensional projections ⋮ Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions ⋮ Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence ⋮ Estimation of stable spectral measures

Cites Work

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• Approximation of multidimensional stable densities
• Nonlinear regression of stable random variables
• On the range of cumulative sums
• On some expansions of stable distribution functions
• Algorithm 542: Incomplete Gamma Functions [S14]
• On 1/ f noise and other distributions with long tails
• Cumulative distribution function values for symmetric standardized stable distributions
• Algorithm 706: DCUTRI: an algorithm for adaptive cubature over a collection of triangles
• Tables and graphs of the stable probability density functions
• Fractional Brownian Motions, Fractional Noises and Applications
• "Infinite Variance" and Research Strategy in Time Series Analysis

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